Description

This application will implement paper trading of stocks based on a Natural Language Processing (NLP) algorithm for sentiment analysis.

It should be noted that using twitter reactions to a company is extremely volatile, and has very little usecase outside of intraday trading, due to having no additional context of a company.

This software is provided as-is, and the authors are not liable for anything resulting from you using this program.

They are especially not liable for damages resulting from your own stupidity in using this program to try and make money, instead of doing your own due diligence on a company's financial records.

Overview

The application has three main parts:

Ingestion engine

The ingestion engine is the "front-end" of the application, constantly running, utilising Twitter's Streaming API to get the latest updates from important financial services about stocks, before batching and passing the information onto the SA engine.

If additional input is given to the ingestion engine while the processing engine is busy, the ingestion engine will batch up all input since the last batch, and then pass over all new input as a single batch when the processing engine completes the last task.

This greatly increases efficiency, and allows the end user to input as many lines of input as they wish (barring out of memory exceptions).

Sentiment Analysis (SA) engine

The SA engine parses the given input (tweets), combines it with historical data, then computes and labels each given stock with a Viability Score (VS). This score is calculated from the given current sentiment about a stock, and its current position in the marketplace, with a higher differential resulting in a higher VS.

(Paper) Trading engine

The Trading engine will take a given list of the highest VS and proceed to paper trade based off of the sentiment analysis.

Runtime

Sentiment analysis via the textblob library is the largest concern when it comes to runtime. Each tweet parsing for sentiment analysis takes ~0.5s.

Running Commands

To start the ingestion engine:

python ingest.py

To bypass the Ingestion engine (generates sentiment analysis of a tweet directly):

python process.py path_to_input_file

e.g. With the sample input

python process.py sample_data.txt

Dependencies

Application Dependencies

• Python 3 (developed & tested on 3.6.1)
• Textblob (NLP sentiment analysis)

Dev Dependencies

• pytest (required to run tests)

Installation

OSX

Install Homebrew

/usr/bin/ruby -e "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/master/install)"

Install pyenv

brew install pyenv
echo 'eval "$(pyenv init -)"' >> ~/.bash_profile

Install Python 3

pyenv install 3.6.1
pyenv global 3.6.1

Install requirements

pip install -r requirements.txt

Linux *

* Installation instructions for Ubuntu 16.10 only

Install Python 3

sudo apt-get update
sudo apt-get install python3.6

Install requirements

pip3 install -r requirements.txt

Testing

Testing utilises the pytest framework, and all tests can be executed via:

pytest tests.py -vs

Logging

• Log files are stored in the log directory.
• Program logs are automatically generated every time the ingestion engine passes data to the processing engine.
• Log files are labeled by a time-stamp for easy ordering, uniqueness, & analysis.
• Logging verbosity may be controlled with the --verbose or -v flag passed into the command line when running either the ingestion engine or processing engine. When verbose mode is enabled in the ingestion engine, all subsequent batches will also log in verbose mode.

Efficiency optimisations

• Batches input in ingestion engine when processing engine is still running from last batch
• Combining history with new input is also sped up by saving historical data in a pre-parsed manner, and then adding new data as appropriate. In this fashion, there is no need to re-parse historical expressions.

Potential Future Enhancements

• Utilise a database instead of saving to disk.
• Autogenerate gains/losses from current trading run segmented by time.